Stock Screening with Weekly MA Crossovers and Convertible Bonds

Summary

The document describes a stock selection rule combining daily price amplitude, a weekly moving-average crossover, and the presence of an outstanding convertible bond. Its stated rationale is to consider both price trend and volatility alongside a bond-related company attribute. It also suggests adding indicators such as RSI and limiting position size as possible ways to refine the screen and manage risk.

The article includes a formula reference and sample Python logic that checks convertible-bond data, calculates moving averages and amplitude, and returns qualifying stock codes. However, the example’s calculations use daily data and a daily moving-average crossover, which does not fully match the stated weekly rule. It provides no backtest, performance evidence, or detailed bond risk analysis. The screening conditions are therefore a starting point rather than a validated trading system, and the article itself notes that policy, industry, and other market risks are not captured.

Key ideas

• The stated screen combines amplitude above a threshold, a weekly five-period moving average crossing above a ten-period average, and an outstanding convertible bond.
• The article presents trend, volatility, and convertible-bond status as the screen’s main considerations.
• It suggests adding indicators such as RSI to account for additional market information.
• It recommends using a maximum portfolio allocation as a risk control.
• The sample code uses daily price data and does not faithfully implement the stated weekly crossover.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.